Investment Objective
The strategy is focused on liquid credit indices within the investment grade credit space. It implements the strategy by investing in CDX and iTraxx indices, tranches of these, index options and single name CDS. The goal is to achieve a market neutral portfolio which has a positive carry and positive convexity.
The fund seeks to generate positive risk-adjusted returns in both decreasing and increasing credit spread environments by taking long and short positions, either directly or indirectly through derivatives. The goal is to achieve opportunistically a market neutral approach that aims to limit exposure to extreme moves while providing a positive carry and positive convexity over the intermediate term.
Performance
JAN | FEB | MAR | APR | MAY | JUN | JUL | AUG | SEP | OCT | NOV | DEC | YTD | ||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2023 | 0.7 | 0.2 | 0.1 | 0.3 | 0.7 | 0.2 | 1.0 | 0.2 | 0.5 | 0.1 | 0.8 | 0.2 | 0.9 | |
2022 | 0.2 | 0.0 | 0.7 | 0.2 | 0.3 | 0.5 | 0.0 | 0.9 | 0.3 | 0.0 | 0.2 | 0.4 | 0.2 |